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4 edition of Rare disasters, asset prices, and welfare costs found in the catalog.

Rare disasters, asset prices, and welfare costs

Barro, Robert J.

Rare disasters, asset prices, and welfare costs

by Barro, Robert J.

  • 313 Want to read
  • 5 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementRobert J. Barro.
SeriesNBER working paper series -- working paper 13690, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13690.
ContributionsNational Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL17088812M
LC Control Number2008612445

Simulations show that substantial welfare costs arise not just from the large rare disasters, but also from the smaller but more frequent mini-disasters in every cycle. In postwar America, households would sacrifice more than 10 percent of consumption to . Conventional macroeconomics has analyzed macroeconomic dynamics through the two lenses, trend growth and business cycles. While the two lenses remain important, over the past quarter century, the need to incorporate a third lens, rare but large events including financial crises, was increasingly recognized, by policy makers and academics alike.

Albala-Bertrand J.M. (). Political economy of large natural disasters. Oxford: Clarendon Press. Benson C. and Clay E. (). Understanding the economic and financial impacts of natural disasters, Disaster Risk Management Series, n. 4. Barro R. (). Rare Disasters, Asset Prices, and Welfare : Carlos Adriàn Romero, Omar Osvaldo Chisari, Leonardo Javier Mastronardi, Arturo Leonardo Vásquez Cor. The Federal Reserve Board of Governors in Washington DC. Abstract: This paper models the historical default and prepayment behavior for subprime mortgages using data on securitized mortgages originated from to I find that more recently originated subprime loans are more likely to default, well ahead of their first mortgage rate resets, and less likely to prepay .

(). Rare Disasters, Asset Prices, and Welfare Costs. (). Signal Detection Theory: Valuable Tools for Evaluating Inductive Learning. (). Spain's international position (). Systemic Banking Crises: A New Database. (). 2 For evidence on the welfare costs of extreme events, see Chatterjee and Corbae (), and Barro Liu et al. () analyze the role of rare events for asset allocation in a jump diffusion setting. They demon- jump-diffusion model that separates out disasters from smaller jumps in asset prices. The authors find that.


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Rare disasters, asset prices, and welfare costs by Barro, Robert J. Download PDF EPUB FB2

Downloadable. A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with key asset-pricing observations. If the coefficient of relative risk aversion equalsthe model accords with observed equity premia and risk-free real interest rates.

If the intertemporal elasticity of substitution is greater than one, an increase in. E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles; Lists This item is featured on the following reading lists or Wikipedia pages: Rare Disasters, Asset Prices, and Welfare Costs (AER ) in ReplicationWiki Statistics Access and download statistics.

Rare Disasters, Asset Prices, and Welfare Costs Article in American Economic Review 99(1) January with 33 Reads How we measure 'reads'Author: Robert J. Barro. Get this from a library.

Rare disasters, asset prices, and welfare costs. [Robert J Barro; National Bureau of Economic Research.] -- A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d.

shocks, including rare disasters, accords with key asset-pricing observations. If the coefficient of relative risk. Why are risk premiums so high if consumption volatility had only minimal welfare costs.

"Rare disasters" asset pricing models were developed to address this Author: Robert J. Barro. Rare Disasters, Asset Prices, and Welfare Costs w Published: Robert J.

Barro, "Rare Disasters, Asset Prices, and Welfare Costs," American Economic Review, American Economic Association, vol. 99(1), pagesMarch. citation courtesy of. December On the Welfare Costs of Consumption Uncertainty w May   Aldrich D.P., Sawada Y., Oum S.

() Approaches Towards Effective Disaster Risk-Coping Strategies and Regional Cooperation on Disaster Management. In: Aldrich D., Oum S., Sawada Y. (eds) Resilience and Recovery in Asian Disasters. Risk, Governance and Society, vol Springer, Tokyo. First Online 24 August Cited by: 3. Get this from a library.

On the welfare costs of consumption uncertainty. [Robert J Barro; National Bureau of Economic Research.] -- "Satisfactory calculations of the welfare cost of aggregate consumption uncertainty require a framework that replicates major features of asset prices and returns, such as the high equity premium and.

Satisfactory calculations of the welfare cost of aggregate consumption uncertainty require a framework that replicates major features of asset prices and returns, such as the high equity premium and low risk-free rate.

A Lucas-tree model with rare but large disasters is. Course Outline and Syllabus. Contact Information: Professor Robert Hodrick. Uris Hall Ph: “Rare Disasters, Asset Prices, and Welfare Costs,” American Economic Review March. Barro, Robert J.,“Rare Disasters and Asset Markets in the Twentieth Century,” Quarterly Journal of Economics August.

Gabaix File Size: 53KB. “Rare Disasters, Asset Prices, and Welfare Costs,” American Economic Review, March “Private Voluntary Organizations Engaged in International Assistance, ,” Nonprofit and Voluntary Sector Quarterly, September (with R.M.

McCleary). “Macroeconomic Crises since ,” Brookings Papers on Economic Activity,File Size: KB. “Rare Disasters and Asset Markets in the Twentieth Century,” Quarterly Journal of Economics, vol.

(3), pages Barro, Robert J., “ Rare Disasters, Asset Prices, and Welfare Costs,” NBER Working Paper Barro R. “Rare Disasters, Asset Prices, and Welfare Costs” American Economic Review 99 1 Barro R.

“Rare Disasters, Asset Prices, and Welfare Costs” American Economic Review 99 1 )| false. Gourio, Francois. “Disasters and Recoveries.” American Economic Review, 98(2): 68– 5. As I noted in a footnote in my discussion of his model, too high wages can also be bad in his model.

However one does not need to appeal to a model like his to have a government policy of setting high real wages distortAuthor: Michael S. Barr. Abstract: The U.S. labor market witnessed two apparently unrelated secular movements in the last 30 years: a decline in unemployment between the early s and the early s, and a decline in participation since the early s.

Using CPS micro data and a stock-flow accounting framework, we show that a substantial, and hitherto unnoticed, factor behind both trends is a.

Rare Disasters, Asset Prices, and Welfare Costs NBER Working Papers, National Bureau of Economic Research, Inc View citations (8) See also Journal Article in American Economic Review () Religious Conversion in 40 Countries NBER Working Papers, National Bureau of Economic Research, Inc View citations (5) Monetary economics is the branch of economics that studies the different competing theories of money: it provides a framework for analyzing money and considers its functions (such as medium of exchange, store of value and unit of account), and it considers how money, for example fiat currency, can gain acceptance purely because of its convenience as a public good.

In the Kelly, Lustig, and Van Nieuwerburgh () bailout-augmented dynamic asset pricing model, which builds on the rare disaster model with time-varying probabilities of Backus, Chernov, and Martin (), Gabaix () and Wachter (), financial stocks that benefit from guarantees earn low risk-adjusted returns during normal times, in.

From togold's average annual real rate of price change is %, with a standard deviation of % and a negligible covariance with consumption growth.

Because gold does not serve as a hedge against macroeconomic declines, its expected real rate of return should be close to the risk‐free rate of around 1%. These properties fit an asset‐pricing model. Book File Downloads Abstract Views; Last month: 3 months: 12 months: Total: Last month: 3 months: 12 months: Total: Determinants of Economic Growth: A Cross-Country Empirical Study.

Tail events can play an important role in determining asset prices despite their relative infre-quency. One potential resolution to the equity premium puzzle, rst suggested byRietz() andBarro(), is to incorporate rare disasters{a small probability of an extremely large drop in aggregate consumption.

I evaluate the various insurance schemes in terms of social welfare. In doing so, I adopt a measure that is based on the ex post social welfare concept in the sense of Hammond (Econom –, ), as the standard Pareto optimality criterion is problematic in the presence of diverse beliefs, for it ignores the regrets or pleasure Author: Hiroyuki Nakata.Robert Barro Rare Disasters, Asset Prices, and Welfare Costs, American Economic Review, March 2.

Wachter Jessica "Can time-varying risk of rare disasters explain aggregate stock market volatility?, forthcoming Journal of Finance 3. Bansal Ravi, Dana Kiku, Amir Yaron,Long-Run Risks, the Macroeconomy, and Asset Prices," American.